I agree that you don't need a firewall for a dialup (unless you're worried about catching Spyware apps phoning home), but the reason is not bandwidth.
Hackers find you by doing a port scan. They do hours and hours (maybe days) of port scans, then go through the logs and go back and poke around with the open ports they found.
If you're on a dialup your IP address changes every tiem you connect so when they go back and try to hack your system, you won't be there anymore.
When you're on broadband though, even if you don't have a static IP, your IP address generally doesn't change very often and you're at much more risk.
To answer your question Executioner, if the Sygate firewall is the same as it used to be a few years ago when I used it, it's pretty basic and yes it may interfere with games. It wasn't a very sophisticated firewall - it just shut down a bunch of ports.
I would recommend Tiny Firewall 2.0 or ZoneAlarm - both are free. I prefer Tiny and you can get it here:
http://downloads-zdnet.com.com/3000-2092-6313778.html